If the query that shall not be refreshed is not referenced by any other query or part of a UNION-operation in DAX, then everything works fine, but if it is referenced as mentioned, then it will be loaded again.

A lot of the usecases for this features are of this kind, so this bugfix is really needed !!!

Yes, this is the issue. We currently cannot connect to the "frozen" content of one query in the query editor. & I find this behaviour also very irritating, as the reference to one table delivers different results than the table is showing itself.

I got some info from Taylor Clark via Twitter this morning stressing out that the workaround using DAX-UNION actually works (which it does on my machine as well). But it's not ideal, as you cannot perform all types of necessary transformations in M (all those kind, who would need to iterate over the whole table)

The current behavior is By Design. The "Do no include in refresh" applies only to a specific table; it does not exclude downstream tables. Often users will have a "base query" (e.g. "All Customers") that they do not want to load; however, they may want to nonetheless load downstream queries (e.g. "North American Customers").